Central limit theorem for a Stratonovich integral with Malliavin calculus

DOI10.1214/12-AOP769zbMath1285.60050arXiv1105.4841MaRDI QIDQ359692

David Nualart, Daniel Harnett

Publication date: 22 August 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.4841

zbMATH Keywords

Malliavin calculus; central limit theorem; Skorokhod integral; bifractional Brownian motion; Itō formula; iterated integral

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60G17: Sample path properties

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions, Quantitative stable limit theorems on the Wiener space, Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes, Central limit theorem for functionals of a generalized self-similar Gaussian process, On Simpson's rule and fractional Brownian motion with \(H = 1/10\), Weak symmetric integrals with respect to the fractional Brownian motion, Stable limit theorems on the Poisson space, Discrete rough paths and limit theorems, Asymptotic expansion of Skorohod integrals, Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes

Cites Work

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